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Nash Equilibrium Payoffs for Stochastic Differential Games with two Reflecting Barriers
Published online by Cambridge University Press: 22 February 2016
Abstract
In this paper we study Nash equilibrium payoffs for nonzero-sum stochastic differential games with two reflecting barriers. We obtain an existence and a characterization of Nash equilibrium payoffs for nonzero-sum stochastic differential games with nonlinear cost functionals defined by doubly controlled reflected backward stochastic differential equations with two reflecting barriers.
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- © Applied Probability Trust
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